The Capital Asset Pricing Model and the Three Actor Model of Fama and French Revisited in the Case of France

Topics:
Investment and Capital Markets
Tags:
Capital Asset Pricing Model,
University Of Paris
Source:
University of Paris

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Overview: This study tries to test the three factor model of Fama and French and the Capital Asset Pricing Model on the French Stock Market. It uses returns on the six Fama and French portfolios sorted by size and book to market ratio. The sample is taken from July 1976 to June 2000.The results show that the three factor model explains better the common variation in stock returns than the capital asset pricing model. However, only the value-weight market portfolio can explain the cross-section in the stock returns.

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Format: PDF | Size: 291KB | Date: Jun 2002 | Pages: 26

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